For years I had thought that the Finder's Go » Connect To Server (Command-K) feature only worked on the local network. I discovered, almost by accident, that if I know the IP address and user password of a Mac anywhere in the world, I can connect to it (assuming it has sharing enabled) using Connect to Server, and transfer files to/from to my heart's content.
This has been very useful when I'm working from home and need a file located on my work computer. Of course, that also means anyone else could do the same, which is a good reason to maintain a robust password!
Mac OS X Hints
http://hints.macworld.com/article.php?story=20070226135647141